Teacher information
Achievements in scientific research
Academic activities and community service
Journal Papers
| 1. | Joshua C. C. Chan, Gary Koop, and Xuewen Yu. 2024. Large order-invariant Bayesian VARs with stochastic volatility. Journal of Business & Economic Statistics 42(2) 825-837.  |
| 2. | Mohitosh Kejriwal, Linh Nguyen, and Xuewen Yu. 2023. Multistep forecast averaging with stochastic and deterministic trends. Econometrics 11(4) 1-43. |
| 3. | Yong Bao and Xuewen Yu. 2023. Indirect inference estimation of dynamic panel data models. Journal of Econometrics 235(2) 1027-1053. |
| 4. | Joshua C.C. Chan and Xuewen Yu. 2022. Fast and accurate variational inference for large bayesian VARs with stochastic volatility. Journal of Economic Dynamics and Control 143 1-19. |
| 5. | Mohitosh Kejriwal, Pierre Perron, and Xuewen Yu. 2022. A two-step procedure for testing partial parameter stability in cointegrated regression models. Journal of Time Series Analysis 43(2) 219–237. |
| 6. | Mohitosh Kejriwal and Xuewen Yu. 2021. Generalized forecast averaging in autoregressions with a near unit root. The Econometrics Journal 24(1) 83-102. |
| 7. | Mohitosh Kejriwal, Xuewen Yu, and Pierre Perron. 2020. Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. Journal of Time Series Analysis 41(5) 676-690. |
Research Projects
2025.01—2028.12, Member, Decision Tree-based Asset Heterogeneity, Regime Switching, and Uncommon Factor Structures, National Natural Science Foundation of China
2024.01—2026.12, Principal Investigator, The Econometric Testing of Asset Price Bubbles: Theory and Methods, National Natural Science Foundation of China
2023.04—2026.03, Principal Investigator, Bayesian Identification and Estimation of Large Vector Autoregression Models, Shanghai Municipal Commission of Science and Technology
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